On 20 July 1685, a fortnight after the Battle of Sedgemoor, Lady Alice agreed to shelter John Hickes, a well-known Nonconformist minister, at Moyles Court, her residence near Ringwood. Hickes, who was a member of Monmouth's defeated army, brought with him Richard Nelthorpe, another supporter of Monmouth and under sentence of outlawry. The men spent the night at Moyles Court, and in the morning were arrested. Their hostess, who had initially denied their presence, was charged with harbouring traitors.

Lady Alice's case was tried by Judge Jeffreys at the opening of the Bloody Assizes at Winchester. She pleaded she had no knowledge that Hickes's offence was anything more serious than illegal preaching. Furthermore, she had known nothing of Nelthorpe, who was not named in the indictment, but was nevertheless mentioned to strengthen the case for the Crown. She said she had no sympathy with the rebellion whatsoever. Jeffreys conducted the trial in his usual bullying manner and his antipathy to Lady Lisle was obvious: when she asked if she would be allowed to speak in her own defence, Jeffreys reminded her that her husband had once condemned a man to death without letting him speak. The jury reluctantly found her guilty, and the law recognizing no distinction between principals and accessories in treason, she was sentenced to be burned. Jeffreys said that he would have found her guilty "even if she had been [his] own mother".

Jeffreys respited the sentence for a week but James II refused to extend mercy to her, though he allowed beheading as befitted her social rank to be substituted for burning at the stake. Lady Alice Lisle was publicly executed by an axe in Winchester market-place on 2 September 1685. She died with courage and dignity: onlookers remarked that, perhaps due to her age, she seemed to leave the world without much regret. She is buried in a tomb on the right hand side of the porch at St Mary and All Saints Church, in Ellingham, Hampshire.

A plaque marks the spot of Lady Alice's execution, opposite "The Eclipse Inn" near the Cathedral in Winchester.

Many writers have described Lady Alice's execution as a judicial murder: Gilbert Burnet called her the first martyr of the Bloody Assizes.[2] One of the first acts of parliament of William and Mary after the Glorious Revolution was to reverse her attainder on the grounds that the prosecution was irregular and the verdict injuriously extorted by "the menaces and violences and other illegal practices" of Judge Jeffreys. In fact, Jeffreys seems to have followed the strict letter of the law of the time. His modern biographer concludes that justice was done according to the law, but that a wiser ruler than James II would have shown clemency to Lady Lisle.[3]